You must be pulling my leg is an example of a figure of speech.
Because words in a figure of speech are not literal, these expression often prove to confuse non-native speakers of any language.
There are many types and categories when it comes to figures of speech. They include (but are not limited to) metaphors, irony, and hyperbole.
You are killing me with kindness.
My brain is toast.
She is a killer basketball player.
You're barking up the wrong tree.

